You need to define the width of the element you are centering, not the parent element.

#header ul {
margin: 0 auto;
width: 90%;
}

Edit: Ok, I've seen the testpage now, and here is how I think you want it:

#header ul {
list-style:none;
margin:0 auto;
width:90%;
}
/* Remove the float: left; property, it interferes with display: inline and
* causes problems. (float: left; makes the element implicitly a block-level
* element. It is still good to use display: inline on it to overcome a bug
* in IE6 and below that doubles horizontal margins for floated elements)
* The styles below is the full style for the list-items.
*/
#header ul li {
color:#CCCCCC;
display:inline;
font-size:20px;
padding-right:20px;
}